arXiv research

Clarifies interest rate cap rules for loans with unconventional cash flows.

Quantum computing speeds up interest rate derivative pricing using LMM.

The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described using a field theory model, and a common measure is seen to be emerge naturally f…

We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against fluctuations in underlying forward rates. An empirical illustration of our methodolog…

Unified model for financial derivatives pricing with stochastic interest rates.

Method calibrates local volatility and stochastic short rate models for equity-rate dynamics.

This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared …

New inflation model captures correlations and skew in interest rates.

Develops a novel SABR DNN for accurate volatility surface calibration.

The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast (as a function of the tenor length). In this work, we consider a Lévy-driven LIB…

In this paper we develop a framework for discretely compounding interest rates which is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical as well as the Lévy Libor market model, it allows in a natural way for…

Develops a diagnostic framework for interest rate model calibration, showing equivalence to Weighted Least Squares and revealing boundary-dominated leverage and local parameter instability.

We introduce a multiple curve framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. Negatives rates and positive spreads can also be accommodated in this framework. The dynamics of OIS and LIBOR rates are specified following the methodology of the …

Develops a new model for cross-currency derivatives pricing.

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate tenors. Within such double-curve-single-currency framework, adopted by the market…

We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical finance that LIBOR rates are analytically tractable martingales with respect to …

We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a multiplicative manner that …

FSD-CAP improves graph feature imputation under high missing rates.

CAP algorithm controls FCR in online selective prediction.

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of c…

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible…

This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no assumption on the volatility of the yield. We actually calculate the initial value of …

New method prices interest rate derivatives without Monte Carlo, achieving high accuracy and speed.

Study shows survivorship bias inflates returns in India's small-cap index.

The CAP slope is Bayes' theorem in cumulative coordinates, unlocking the weight of evidence, Somers' D, and Gini coefficient.

The procedure to remove double intersections called the Whitney trick is one of the main tools in the topology of manifolds. The analogues of Whitney trick for $r$-tuple intersections were `in the air' since 1960s. However, only recently they were stated, proved and applied to obtain interesting results. Here we prove …

Perfect pairing for tropical cycles on integral affine manifolds.

The paper uses LSMC to price capped American options with time-dependent caps.

New formulae connect topological and geometric properties of singular spaces.

TKRR improves KRR performance by aligning target functions with kernels.

It is classically known that generic smooth maps of R^2 into R^3 admit only cross cap singularities. This suggests that the class of cross caps might be an important object in differential geometry. We show that the standard cross cap (u,uv,v^2) has non-trivial isometric deformations with infinite dimensional freedom. …

Study symmetry of cross-cap surfaces with folding maps.

Paper classifies symmetries of cross caps using invariants.

This paper proves geodesic curvature measures are bounded for curves near cross cap singularities.

Two cross caps in Euclidean $3$-space are said to be formally isometric if their Taylor expansions of the first fundamental forms coincide by taking a suitable local coordinate system. For a given $C^\infty$ cross cap $f$, we give a method to find all cross caps which are formally isometric to $f$. As an application, w…

KFAtt improves CTR prediction by modeling user behavior with Kalman filtering attention.

There are more than eight hundred interest rates published in China bond market every day. Which are the benchmark interest rates that have broad influences on most interest rates is a major concern for economists. In this paper, multi-variable Granger causality test is developed and applied to construct a directed net…

We give a variational proof of the existence and uniqueness of a convex cap with the given upper boundary. The proof uses the concavity of the total scalar curvature functional on the space of generalized convex caps. As a byproduct, we prove that generalized convex caps with the fixed boundary are globally rigid, that…

This study improves mid-cap equity performance with a data-driven, market-neutral approach.

3D spherical caps are rigid under certain perturbations.

Improved LDA with capped l_{2,1}-norm reduces outlier sensitivity.

We consider a non-trapping $n$-dimensional Lorentzian manifold endowed with an end structure modeled on the radial compactification of Minkowski space. We find a full asymptotic expansion for tempered forward solutions of the wave equation in all asymptotic regimes. The rates of decay seen in the asymptotic expansion a…

In the paper we consider the following conjecture: if a finite group $G$ possesses a solvable $π$-Hall subgroup $H$, then there exist elements $x,y,z,t\in G$ such that the identity $H\cap H^x\cap H^y\cap H^z\cap H^t=O_π(G)$ holds. The minimal counter example is shown to be an almost simple group of Lie type.

Study analyzes order transitions in high, medium, and low market cap stocks using Markov chains.

Study of free boundary minimal Möbius bands in spherical caps.

Proposes a diagnostic method to evaluate factor models using cap-axis integrals.

Proposes a diagnostic method to evaluate factor models using cap-axis integrals.

In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the clean-valuation pricing of FRAs and CAPs (linear and nonlinear derivatives) with one…